kzft: Kolmogorov-Zurbenko Fourier Transform Function

In kzfs: Multi-Scale Motions Separation with Kolmogorov-Zurbenko Periodogram Signals

Description

kz.ft is improved version of Wei Yang's kzft::kzft. It has been modified to handle missing values in the data. Besides KZ Fourier transform, the outputs also include KZ periodogram.

kz.ftc is an experimental version of KZFT for signals sampled on continual time/space points with irregular intervals. Missing is common in this scheme. However, you may need large window size for reconstruction of the signals.

Usage

kz.ft(x, m, ...)

kz.ftc(x, m, ...)

Arguments

x	The data vector. Missing values are allowed.
m	The window size for a regular Fourier transform
...	Other arguments. k : Integer. The iterations number of KZFT. f : Vector. Selected frequencies. Default value is c(1:m)/m n : The sampling frequency rate as a multiplication of the Fourier frequencies p : The distance between two successive intervals as a percentage of the total length of the data series. adpt : Logic. Flag for using adaptive window size, or not. Default is FALSE. phase : Logic. Flag for correcting phase shift, or not. Default is FALSE.

Details

If 2*m*f is not an integer, the recovered signal may have included a phase shift. However, if the option of "phase shift correction is enabled, the related errors caused by the phase shift can be limited to an acceptable level. Please notice that this method is useful for cases with low background noise and the aim is to near perfectly recover the signal. The targeted signal also needs to be the dominant signal in the data so that the interaction of other signals is negligible.

Another way to reduce the errors caused by unmatched m and f is to use the option of "adaptive window size". It will help you select the best window size for the given frequencies and the data length automatically. But it only works well when it exists m for integer values 2*m*f.

These two options haven't been implemented for kz.ftc.

Value

List. It includes data frame for Fourier transform matrix tfmatrix, column means of Fourier transform matrix fft, vector pg and f for KZ-periodogram values and corresponding frequencies.

See Also

kzft, kz.smpg, kzp2

Examples

## Adapted from kzft::kzp example 2
t <- 1:2000
y <- 1.1*sin(2*pi*0.0339*t)+7*sin(2*pi*0.0366*t)
y2 <- y
noise <- rnorm(length(t),0,1)
y[sample(t,100,replace=FALSE)] <- NA
f <- c(0.0339, 0.0366)

## Periodogram
ft <- kz.ft(y+5*noise, f=f, k=2, m=1000, n=10)
# It may take 10 ~ 20 seconds
# system.time(ft <- kz.ft(y+5*noise, k=2, m=1000, n=10)) 
plot(y=log(ft$pg+1), x=ft$f, type="l", xlim=c(0.025,0.045))
abline(v=f, lty=21, col="red")
text(x=f+0.001, y=c(2,4), f, col="red", cex=0.75)

## recover signal
ft <- kz.ft(y+5*noise, f=f, k=3, m=500)
yr <- 2*Re(rowSums(ft$tf))
cor(yr, y2[1:length(yr)], use="pairwise.complete.obs")
plot((y+5*noise)[1:length(yr)], type="p", cex=0.5, col="grey")
points(y[1:length(yr)],type="b", col="red", cex=0.45)
points(yr, type="p", cex=0.35, col="blue")
mtext("Red dots: singal, Blue dots: reconstruction", cex=0.75)


## Additional example
t <- 1:2000
y <- 1.1*sin(2*pi*0.011*t)+2*sin(2*pi*0.032*t)
y2 <- y
y[sample(t,500,replace=FALSE)] <- NA
noise <- rnorm(2000,0,1)
ft <- kz.ft(y + 3.0*noise, k=5, f=c(0.011,0.032), m=300, adpt=FALSE)
yr <- 2*Re(rowSums(ft$tf))
cor(yr, y2[1:length(yr)], use="pairwise.complete.obs")
plot((y+5*noise)[1:length(yr)], type="p", col="grey")
points(y2[1:length(yr)], type="l", col="red")
points(y[1:length(yr)],type="p", col="red", cex=0.35)
points(yr, type="p", cex=0.3, col="blue")
mtext("Red: singal, Grey: singal + 5*noise, Blue: reconstruction", cex=0.75)


## Example for kz.ftc

t <- runif(2000)*2000
f <- c(0.15, 0.1)
x <- sin(2*pi*f[1]*t + pi/4)
y <- sin(2*pi*f[2]*t + pi/12)
y <- y[order(t)]
x <- x[order(t)]
tr <- t[order(t)]
noise <- rnorm(length(tr),0,1)
plot(y=y+x, x=tr, type="l")

## Periodogram
ft <- kz.ftc(x+y+2*noise, xt=tr, k=2, m=1000)
plot(y=ft$pg, x=ft$f, type="l")
abline(v=f, col="grey", lty=21)
text(x=f+0.001, y=c(200,400), f, col="red", cex=0.75)
mtext("Spectrum of Longitudinal Data, Selected f")

## recover signal
ft <- kz.ftc(x+y+noise, xt=tr, f=f, k=1, m=1900)
yr <- rowSums(2*Re(ft$tf))
iv <- 0:60
plot(y=(x+y+noise)[iv], x=tr[iv], type="p", col="grey")
xt <- (0:8000)/100
yt <- sin(2*pi*f[1]*xt+pi/4) + sin(2*pi*f[2]*xt+pi/12)
y2 <- sin(2*pi*f[1]*iv+pi/4) + sin(2*pi*f[2]*iv+pi/12)
points(yt, x=xt, col="grey", cex=0.5, lwd=1, type="l")
points(y2, x=iv, col="blue", cex=0.75, lwd=1, type="p")
points(y=yr, x=0:(length(yr)-1), type="p", cex=0.5, lwd=1, col="red")
mtext("Red: reconstruction, Grey: signal + noise", cex=0.75)

kzfs documentation built on June 2, 2019, 5:04 p.m.